Francis A. Longstaff : Citation Profile

University of California-Los Angeles (UCLA)

28

H index

44

i10 index

6535

Citations

RESEARCH PRODUCTION:

37

Articles

36

Papers

RESEARCH ACTIVITY:

   35 years (1989 - 2024). See details.
   Cites by year: 186
   Journals where Francis A. Longstaff has often published
   Relations with other researchers
   Recent citing documents: 434.    Total self citations: 28 (0.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo283
   Updated: 2026-08-18    RAS profile: 2025-04-28    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Francis A. Longstaff.

Is cited by:

Xiao, Tim (37)

Chernov, Mikhail (34)

Augustin, Patrick (33)

Pelizzon, Loriana (26)

Stentoft, Lars (24)

Guidolin, Massimo (23)

Renne, Jean-Paul (22)

Lo, Andrew (21)

Monfort, Alain (20)

Batten, Jonathan (19)

Shahzad, Syed Jawad Hussain (18)

Cites to:

Pedersen, Lasse (34)

Duffie, Darrell (32)

Vayanos, Dimitri (32)

Singleton, Kenneth (23)

Campbell, John (18)

Reinhart, Carmen (17)

Rogoff, Kenneth (17)

merton, robert (14)

Amihud, Yakov (13)

Brunnermeier, Markus (12)

LIU, JUN (10)

Main data

Where Francis A. Longstaff has published?

Journals with more than one article published# docs
Journal of Finance13
Journal of Financial Economics8
The Review of Financial Studies4
The Journal of Business3
Journal of Financial and Quantitative Analysis2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc34

Recent works citing Francis A. Longstaff (2026 and 2025)

YearTitle of citing document
2024Inequality, Taxation, and Sovereign Default Risk. (2024). Deng, Minjie. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:16:y:2024:i:2:p:217-49.

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2024Financial Market Development and the Microstructure of Corporate Bond Markets in Africa: A Survey. (2024). Ojah, Kalu ; Oluoch, Wycliffe. In: The African Finance Journal. RePEc:afj:journl:v:26:y:2024:i:1:p:1-33.

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2024Efficient approximations for utility-based pricing. (2024). Ferhoune, Massinissa ; Carassus, Laurence. In: Papers. RePEc:arx:papers:2105.08804.

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2026A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997.

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2026Random neural networks for rough volatility. (2023). Zuric, Zan ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2305.01035.

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2025Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo. (2025). Huo, Jiawei. In: Papers. RePEc:arx:papers:2305.09166.

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2025An analysis of least squares regression and neural networks approximation for the pricing of swing options. (2023). Yeo, Christian. In: Papers. RePEc:arx:papers:2307.04510.

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2026On an Optimal Stopping Problem with a Discontinuous Reward. (2023). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2311.03538.

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2026Occupied Processes: Going with the Flow. (2023). Tissot-Daguette, Valentin. In: Papers. RePEc:arx:papers:2311.07936.

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2025Primal and dual optimal stopping with signatures. (2025). Pelizzari, Luca ; Schoenmakers, John ; Bayer, Christian. In: Papers. RePEc:arx:papers:2312.03444.

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2026Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options. (2025). Tempone, Ra'Ul ; Samet, Michael ; Bayer, Christian ; ben Hammouda, Chiheb ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2403.02832.

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2025Piercing the Veil of TVL: DeFi Reappraised. (2025). Xu, Jiahua ; Luo, Yichen ; Feng, Yebo ; Tasca, Paolo. In: Papers. RePEc:arx:papers:2404.11745.

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2025Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options. (2024). Yang, Jiefei ; Li, Guanglian. In: Papers. RePEc:arx:papers:2405.02570.

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2024Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from a Multi-Agent Simulation Study. (2024). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2405.02849.

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2026Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems. (2024). Peng, Yunfei ; Wei, Wei. In: Papers. RePEc:arx:papers:2405.11392.

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2024Essays on Responsible and Sustainable Finance. (2024). Malakar, Baridhi. In: Papers. RePEc:arx:papers:2406.12995.

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2024Fiduciary Duty in the Municipal Bonds Market. (2024). Malakar, Baridhi. In: Papers. RePEc:arx:papers:2406.15197.

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2025Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing. (2024). Yang, Yang ; Qiu, Jinniao ; Ware, Antony. In: Papers. RePEc:arx:papers:2406.16400.

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2025Solving stochastic climate-economy models: A deep least-squares Monte Carlo approach. (2024). Myrvoll, Tor A ; Matsui, Tomoko ; Shevchenko, Pavel V ; Murakami, Daisuke ; Arandjelovi, Aleksandar. In: Papers. RePEc:arx:papers:2408.09642.

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2025Numerical analysis of American option pricing in a two-asset jump-diffusion model. (2025). Dang, Duy-Minh ; Zhou, Hao. In: Papers. RePEc:arx:papers:2410.04745.

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2025Stochastic Optimal Control of an Industrial Power-to-Heat System with High-Temperature Heat Pump and Thermal Energy Storage. (2025). Wunderlich, Ralf ; Bahr, Martin ; Pilling, Eric. In: Papers. RePEc:arx:papers:2411.02211.

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2025Pricing American options under rough volatility using deep-signatures and signature-kernels. (2025). Pelizzari, Luca ; Bayer, Christian ; Zhu, Jia-Jie. In: Papers. RePEc:arx:papers:2501.06758.

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2025Defaultable bond liquidity spread estimation: an option-based approach. (2025). Tedeschi, Riccardo ; Spezzati, Paolo ; Rossi, Pietro. In: Papers. RePEc:arx:papers:2501.11427.

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2024Decoding OTC Government Bond Market Liquidity: An ABM Model for Market Dynamics. (2024). Vidler, Alicia ; Walsh, Toby. In: Papers. RePEc:arx:papers:2501.16331.

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2025Pricing time-capped American options using Least Squares Monte Carlo method. (2025). Palmowski, Zbigniew ; Stcepniak, Pawel. In: Papers. RePEc:arx:papers:2503.01040.

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2025Axes that matter: PCA with a difference. (2025). Huge, Brian ; Savine, Antoine. In: Papers. RePEc:arx:papers:2503.06707.

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2026Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation. (2025). Stadje, Mitja ; Fiessinger, Felix. In: Papers. RePEc:arx:papers:2504.12851.

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2025Implied Probabilities and Volatility in Credit Risk: A Merton-Based Approach with Binomial Trees. (2025). Gnawali, Jagdish ; Rachev, Svetlozar T ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2506.12694.

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2025Dynamic Asset Pricing with {\alpha}-MEU Model. (2025). He, Xuedong ; Fan, Jiacheng ; Wu, Ruocheng. In: Papers. RePEc:arx:papers:2507.04093.

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2025Function approximations for counterparty credit exposure calculations. (2025). Demeterfi, Domagoj ; Glau, Kathrin ; Wunderlich, Linus. In: Papers. RePEc:arx:papers:2507.09004.

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2025Time Deep Gradient Flow Method for pricing American options. (2025). Rou, Jasper. In: Papers. RePEc:arx:papers:2507.17606.

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2025American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework. (2025). Shah, Roshan. In: Papers. RePEc:arx:papers:2508.07151.

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2025Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees. (2025). Bossu, Sebastien ; Grabchak, Michael. In: Papers. RePEc:arx:papers:2508.17014.

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2025Pricing American options with exogenous and endogenous transaction costs. (2025). He, Xin-Jiang ; Yan, Dong ; Huang, Xin-Jie ; Ma, Guiyuan. In: Papers. RePEc:arx:papers:2509.00485.

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2025Optimal Exit Time for Liquidity Providers in Automated Market Makers. (2025). Bergault, Philippe ; Bieber, S'Ebastien. In: Papers. RePEc:arx:papers:2509.06510.

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2026Community-level Contagion among Diverse Financial Assets. (2025). Crane, Martin ; Bezbradica, Marija ; Ngoc, An Pham. In: Papers. RePEc:arx:papers:2509.15232.

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2025Error Propagation in Dynamic Programming: From Stochastic Control to Option Pricing. (2025). della Vecchia, Andrea ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2509.20239.

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2025Neural Network Convergence for Variational Inequalities. (2025). Zheng, Harry ; Zhao, Yun. In: Papers. RePEc:arx:papers:2509.26535.

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2025Exact Terminal Condition Neural Network for American Option Pricing Based on the Black-Scholes-Merton Equations. (2025). Lu, Benzhuo ; Zhang, Wenxuan ; Guo, Yixiao. In: Papers. RePEc:arx:papers:2510.27132.

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2025An uncertainty-aware physics-informed neural network solution for the Black-Scholes equation: a novel framework for option pricing. (2025). Kazemian, Sina ; Farhani, Ghazal ; Yazdi, Amirhessam. In: Papers. RePEc:arx:papers:2511.05519.

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2025Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing. (2025). Ni, Ying ; Dimitrov, Marko ; Malyarenko, Anatoliy. In: Papers. RePEc:arx:papers:2601.00815.

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2026KANHedge: Efficient Hedging of High-Dimensional Options Using Kolmogorov-Arnold Network-Based BSDE Solver. (2026). Handal, Rushikesh ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2601.11097.

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2026Realised quantile-based estimation of the integrated variance. (2026). Oomen, Roel ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13006.

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2026The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance. (2026). Oosterlee, Cornelis W ; Huang, Zhipeng. In: Papers. RePEc:arx:papers:2601.18634.

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2026Pricing Catastrophe: How Extreme Political Shocks Reprice Sovereign Risk, Beliefs, and Growth Expectations. (2026). Spruk, Rok ; Ichev, Riste. In: Papers. RePEc:arx:papers:2601.20724.

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2026Optimal Quantum Speedups for Repeatedly Nested Expectation Estimation. (2026). Blanchet, Jose ; Wang, Guanyang ; Sun, Yihang. In: Papers. RePEc:arx:papers:2602.08120.

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2026How can the dual martingale help solving the primal optimal stopping problem?. (2026). Lelong, J'Erome ; Kebaier, Ahmed ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2602.09950.

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2026Fact or friction: Jumps at ultra high frequency. (2026). Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.10925.

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2026A Monotone Limit Approach to Entropy-Regularized American Options. (2026). Li, Libo ; Frikha, Noufel ; Chee, Daniel. In: Papers. RePEc:arx:papers:2602.18062.

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2026One Rising Ship Sinks Other Ships: Cross-Chain Negative Spillovers in Crypto Markets. (2026). Wen, Yonggang ; Bao, TE ; Ma, Mengzhong. In: Papers. RePEc:arx:papers:2602.23762.

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2026General bounds on functionals of the lifetime under life table constraints in a joint actuarial-financial framework. (2026). Motte, Edouard ; Dupret, Jean-Loup. In: Papers. RePEc:arx:papers:2603.06238.

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2026A Double Categorical Framework for Multi-Stage Portfolio Construction and Alignment. (2026). Phoa, Wesley. In: Papers. RePEc:arx:papers:2603.12301.

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2026If Not Now, Then When? Model Risk in the Optimal Exercise of American Options. (2026). Schlogl, Erik ; Frey, Rudiger ; Rigby, Luna. In: Papers. RePEc:arx:papers:2603.19984.

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2026Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives. (2026). Karbach, Sven ; Chatziandreou, Konstantinos. In: Papers. RePEc:arx:papers:2603.25320.

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2026STN-GPR: A Singularity Tensor Network Framework for Efficient Option Pricing. (2026). Cortines, Aser ; Villarino, Alba ; Allende, Carolina ; Gribben, Dominic ; Lehdili, Noureddine ; Oswald, Pascal ; Ali, Mazen. In: Papers. RePEc:arx:papers:2603.26318.

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2026Pricing with Passion: The Local Occupied Volatility (LOV) Model. (2026). Tissot-Daguette, Valentin. In: Papers. RePEc:arx:papers:2604.26151.

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2026American Options Pricing under Heston Model via Curriculum Learning in Coupled PINNs. (2026). Kumar, Amit N ; Shetty, Siddanth. In: Papers. RePEc:arx:papers:2605.06688.

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2026A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions. (2026). Langren, Nicolas ; Chen, Wen ; Zhu, Qinwen. In: Papers. RePEc:arx:papers:2605.12189.

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2026Faster Forward Sensitivities: Reduced stochastic hedge ratios from pathwise algorithmic differentiation. (2026). Fries, Christian P. In: Papers. RePEc:arx:papers:2605.23979.

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2026Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees. (2026). Zhang, Ruiyi ; Shevchenko, Pavel V ; Luo, Xiaolin ; Langren, Nicolas. In: Papers. RePEc:arx:papers:2605.27182.

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2026Sovereign Stress Avalanches and Network Amplification in Latin America. (2026). Vallarino, Diego. In: Papers. RePEc:arx:papers:2606.12460.

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2026A Multiplex Network Hawkes Model for Systemic Risk Measurement. (2026). Griffin, Jim E ; Zelvyte, Mante. In: Papers. RePEc:arx:papers:2606.15755.

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2026Continuous-time Optimal Stopping through Deep Reinforcement Learning. (2026). Ludkovski, Michael ; Borsa, Cosmin. In: Papers. RePEc:arx:papers:2606.17545.

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2024Who should buy structured investment products and why?. (2024). Guidolin, Massimo ; Pedio, Manuela ; Leonetti, Giacomo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24222.

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2026Global | Geopolítica, geoeconomía y riesgo soberano: diferentes shocks, diferentes canales. (2026). Research, Bbva. In: Working Papers. RePEc:bbv:wpaper:2604.

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2025Global risk aversion and the term premium gap in emerging market economies. (2025). Villa, Stefania ; Flaccadoro, Marco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1493_25.

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2025Bibliometric analysis of portfolio diversification focusing on alternative investments. (2025). Merdzan, Gunter ; Gockov, Gjorgji ; Hristovski, Goran. In: Economic Annals. RePEc:beo:journl:v:70:y:2025:i:245:p:171-202.

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2025Pricing of Green Bonds: Greenium Dynamics and the Role of Retail Investors. (2025). Pietsch, Allegra ; Salakhova, Dilyara. In: Working papers. RePEc:bfr:banfra:1010.

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2025Inflation and the joint bond-FX spanning puzzle. (2025). Mehrotra, Aaron ; Gambacorta, Leonardo ; Sihvonen, Markus ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:1320.

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2026How do interest rate levels affect credit loss rates? A rule of thumb approach. (2026). Schmieder, Christian ; Gersl, Adam ; Gerl, Adam ; Fiera, Boris ; Fandl, Maximilian. In: BIS Working Papers. RePEc:bis:biswps:1346.

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2026The credibility of bail-in. (2026). Rishabh, Kumar ; Lengwiler, Yvan ; di Stefano, Alessandro. In: BIS Working Papers. RePEc:bis:biswps:1356.

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2025The Cross‐Industry Contagion Network of Systemic Risk: Evidence From China. (2025). Huang, Xiaoqing ; Shen, Qing ; Sun, Limei. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:39:y:2025:i:2:p:104-121.

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2024Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhuang, Zixi ; Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

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2024Unraveling the impact of female CEOs on corporate bond markets. (2024). Zhao, Ran ; Zhu, LU ; Yuraustin, Jasmine. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:2:p:391-423.

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2026Sovereign Credit Default Swaps and Corporate Investment. (2026). Chen, Yawen ; Tsai, Fengtse. In: Financial Management. RePEc:bla:finmgt:v:55:y:2026:i:2:p:251-274.

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2025Managerial focus and investment efficiency: Evidence from spin‐offs. (2025). Choi, Yoon K ; Kim, Yong H ; Lee, Suin ; Park, Jung Chul. In: The Financial Review. RePEc:bla:finrev:v:60:y:2025:i:1:p:231-260.

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2026Overnight Returns and Daytime Reversals: Evidence From Chinas Convertible Bond Market. (2026). Yao, Xiangkun ; Yan, Jieyuan ; Yang, Haoxi. In: The Financial Review. RePEc:bla:finrev:v:61:y:2026:i:3:p:1037-1062.

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2026Yield Curve and Time‐Varying Debt Concentration. (2026). Ji, Shuangshuang ; Kang, Moonsoo ; Baek, Seungho. In: The Financial Review. RePEc:bla:finrev:v:61:y:2026:i:3:p:979-1009.

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2024Determinants of market‐assessed sovereign default risk: Macroeconomic fundamentals or global shocks?. (2024). Cho, Dooyeon ; Rhee, Dongeun. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:35-60.

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2025A Composite Indicator of Sovereign Bond Market Liquidity in the Euro Area. (2025). Poli, Riccardo ; Taboga, Marco. In: International Finance. RePEc:bla:intfin:v:28:y:2025:i:1:p:23-36.

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2024Production flexibility and trade credit under revenue uncertainty. (2024). Koussis, Nicos ; Silaghi, Florina. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:51:y:2024:i:9-10:p:2371-2409.

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2025Dual holdings and shareholder–creditor agency conflicts: Evidence from the syndicated loan market. (2025). Mhlmann, Thomas ; Liebscher, Roberto ; Geburtig, Ingo. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:52:y:2025:i:1:p:222-260.

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2024Leverage Is a Double‐Edged Sword. (2024). Tang, Ke ; Wang, Jingyuan ; Yang, Xuewei ; Subrahmanyam, Avanidhar. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:1579-1634.

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2024Treasury Richness. (2024). Longstaff, Francis A ; Fleckenstein, Matthias. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2797-2844.

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2024THE FACTORS AFFECTING CORPORATE BOND SPREADS. (2024). Michelson, Noam ; Vieder, Haim ; Graham-Rozen, Meital. In: Israel Economic Review. RePEc:boi:isrerv:v:22:y:2024:i:1:p:1-46.

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2024Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Mahadeo, Scott ; Heinlein, Reinhold ; Legrenzi, Gabriella D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019.

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2025Sovereign vs. Corporate Debt and Default: More Similar than You Think. (2025). Trebesch, Christoph ; Gopinath, Gita ; Meyer, Josefin ; Reinhart, Carmen. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11799.

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2026Tax Incentives, Portfolio Choice, and Macroprudential Risks. (2026). Valladares-Esteban, Arnau ; Koeniger, Winfried ; Brenzel-Weiss, Janosch. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12436.

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2026Masters of Masterpieces: Social Mobility and Elites’ Art Ownership Dynamics. (2026). Yin, Yanfei ; Renneboog, Luc ; Fan, Xinyu ; Chen, Shuo. In: ACEI Working Paper Series. RePEc:cue:wpaper:awp-03-2026.

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2025Asset Liquidity and Monetary Policy. (2025). Lee, Seungduck. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2025:v:26:i:1:lee.

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2024Sovereign vs. Corporate Debt and Default: More Similar than You Think. (2024). Reinhart, Carmen ; Meyer, Josefin ; Gopinath, Gita ; Trebesch, Christoph. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2097.

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2025Untangling Illiquidity: Optimal Asset Allocation with Private Asset Classes. (2025). Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:827.

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2025Global or regional safe assets: evidence from bond substitution patterns. (2025). Nenova, Tsvetelina. In: Working Paper Series. RePEc:ecb:ecbwps:20253159.

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2026Do banks respond to their friends’ markets? Social spillovers in deposit pricing. (2026). Anyfantaki, Sofia ; Avramidis, Panagiotis ; Martynova, Natalya. In: Working Paper Series. RePEc:ecb:ecbwps:20263178.

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2026On deep learning for computing the dynamic initial margin and margin value adjustment. (2026). Villarino, Joel P ; Leitao, Alvaro. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:510:y:2026:i:c:s0096300325004059.

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2026American option pricing with model constrained Gaussian process regressions. (2026). Hainaut, Donatien. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:512:y:2026:i:c:s0096300325004722.

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2026Investment valuation of photovoltaic and energy storage systems for diverse energy communities: A real option approach. (2026). Vergine, Salvatore ; de Blasis, Riccardo ; Pacelli, Graziella. In: Applied Energy. RePEc:eee:appene:v:404:y:2026:i:c:s0306261925019154.

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2025The impact of the COVID-19 pandemic on sovereign debt default risk. (2025). Meng, Hui ; Zhang, Ziyi ; Guo, Yanhong. In: Journal of Asian Economics. RePEc:eee:asieco:v:99:y:2025:i:c:s1049007825000569.

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2025The asymmetric relationship between state media tone and the Chinese bond market during COVID-19: Evidence from a nonlinear ARDL model. (2025). Chen, Keyuan ; Jiang, Yanhui ; Hong, Yun ; Yu, LI ; Deng, Chao. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000292.

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2026Community-level contagion among diverse financial assets. (2026). Crane, Martin ; Bezbradica, Marija ; Ngoc, An Pham. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:205:y:2026:i:c:s0960077925018727.

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2024Partisan conflict and corporate credit spreads: The role of political connection. (2024). Wang, Liyao. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300175x.

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More than 100 citations found, this list is not complete...

Works by Francis A. Longstaff:

YearTitleTypeCited
2009Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets In: American Economic Review.
[Full Text][Citation analysis]		article40
2011How Sovereign Is Sovereign Credit Risk? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article709
2007How Sovereign is Sovereign Credit Risk?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 709		paper
1990 Pricing Options with Extendible Maturities: Analysis and Applications. In: Journal of Finance.
[Full Text][Citation analysis]		article29
1990 Time Varying Term Premia and Traditional Hypotheses about the Term Structure. In: Journal of Finance.
[Full Text][Citation analysis]		article13
1992 Dual Trading in Futures Markets. In: Journal of Finance.
[Full Text][Citation analysis]		article62
1992 Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. In: Journal of Finance.
[Full Text][Citation analysis]		article313
1995 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt. In: Journal of Finance.
[Full Text][Citation analysis]		article807
1995 How Much Can Marketability Affect Security Values? In: Journal of Finance.
[Full Text][Citation analysis]		article76
2000Arbitrage and the Expectations Hypothesis In: Journal of Finance.
[Full Text][Citation analysis]		article20
2000Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program In: Journal of Finance.
[Full Text][Citation analysis]		article38
2001The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence In: Journal of Finance.
[Full Text][Citation analysis]		article42
2003Dynamic Asset Allocation with Event Risk In: Journal of Finance.
[Full Text][Citation analysis]		article201
2002Dynamic Asset Allocation With Event Risk.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 201		paper
2005Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market In: Journal of Finance.
[Full Text][Citation analysis]		article953
2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 953		paper
2007The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds In: Journal of Finance.
[Full Text][Citation analysis]		article12
2008An Empirical Analysis of the Pricing of Collateralized Debt Obligations In: Journal of Finance.
[Full Text][Citation analysis]		article119
2006An Empirical Analysis of the Pricing of Collateralized Debt Obligations.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 119		paper
1996Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate In: Real Estate Economics.
[Full Text][Citation analysis]		article4
1991General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article28
1993Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article48
2005The Cherry-Picking Option in the U.S. Treasury Buyback Auctions In: Working Paper Series.
[Full Text][Citation analysis]		paper0
1993The valuation of options on coupon bonds In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
1996Valuing futures and options on volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article96
1989A nonlinear general equilibrium model of the term structure of interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article69
1990The valuation of options on yields In: Journal of Financial Economics.
[Full Text][Citation analysis]		article19
1992Multiple equilibria and term structure models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article17
2000The term structure of very short-term rates: New evidence for the expectations hypothesis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article78
2001Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article28
2003Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article102
2002Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		paper
2004Corporate earnings and the equity premium In: Journal of Financial Economics.
[Full Text][Citation analysis]		article86
2003Corporate Earnings and the Equity Premium.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		paper
2010The subprime credit crisis and contagion in financial markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article298
1994Electronic Screen Trading and the Transmission of Information: An Empirical Examination In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article54
1994Calling Nonconvertible Debt and the Problem of Related Wealth Transfer Effect In: Financial Management.
[Citation analysis]		article11
2003Two Trees: Asset Price Dynamics Induced by Market Clearing In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2004Two Trees: Asset Price Dynamics Induced by Market Clearing.(2004) In: 2004 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2004Financial Claustrophobia: Asset Pricing in Illiquid Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2004Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
2009Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices? In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2009Valuing Toxic Assets: An Analysis of CDO Equity In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
2010Corporate Bond Default Risk: A 150-Year Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper14
2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers.
[Full Text][Citation analysis]		paper24
2011Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe In: NBER Working Papers.
[Full Text][Citation analysis]		paper300
2012Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2012Inflation Tracking Portfolios In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2012Disagreement and Asset Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2013Deflation Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2014Corporate Taxes and Capital Structure: A Long-Term Historical Perspective In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2014Valuing Thinly-Traded Assets In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2015The U.S. Debt Restructuring of 1933: Consequences and Lessons In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities In: NBER Working Papers.
[Full Text][Citation analysis]		paper18
2017Asset Mispricing In: NBER Working Papers.
[Full Text][Citation analysis]		paper22
2018Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
2018Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2020The Market Risk Premium for Unsecured Consumer Credit Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020Private Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2021Treasury Richness In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes? In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2024Is Maturity-Transformation Risk Priced into Bank Deposit Rates? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2024Financial Sophistication and Bank Market Power In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2026Valuing Sticky Deposits In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2002The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads In: NBER Working Papers.
[Full Text][Citation analysis]		paper30
2002The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper260
2004The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices.(2004) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 260		article
2001Valuing American Options by Simulation: A Simple Least-Squares Approach. In: The Review of Financial Studies.
[Citation analysis]		article1075
2001Optimal Portfolio Choice and the Valuation of Illiquid Securities. In: The Review of Financial Studies.
[Citation analysis]		article93
2008Two Trees In: The Review of Financial Studies.
[Full Text][Citation analysis]		article19
1995Option Pricing and the Martingale Restriction. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article101
1992Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle. In: The Journal of Business.
[Full Text][Citation analysis]		article22
2006The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks In: The Journal of Business.
[Full Text][Citation analysis]		article106

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